I'm developing a system to automate my home, i want to develop a wireless system, the communication from the central (Arduino) with the based devices (lamps and sockets). But I have some doubts with respect to the type of wireless communication that I use.What are the pros and cons of using RF, Bluetooth and Xbee?

Bluetooth, not enough range. XBee, you have to do everything yourself. RF, this term is a bit vague; what kind of RF were you thinking of?

To expand a bit. Bluetooth is meant to converse over very short ranges, so it probably won't reach the far corners of a house. XBee has much greater range, but the inexpensive modules may not reach corner to corner of your house. For this reason, I used the Series 2 XBees (I think they're called XBee ZB these days), because they will form a network automatically and do store forward to move data around the network transparently. This store forward solved my problems with an XBee out of range, just put one in the middle somewhere and data gets automatically routed. However, you have to build your own devices that the XBee will control; there just aren't many devices you can pick up and use.

RF (radio frequency) can mean most everything: XBee, Bluetooth, Wifi, etc. You need to get more specific with this one.

Those modules usually correspond to the XBee modules in range, but they do much, much less than the XBees. There are libraries out there that can help you with some of this, but there is a learning curve.

Take a look at Jeenodes, they are more sophisticated than the modules you show, but they also have active support and forums where you can ask questions.

I use XBees because I want the network capabilities, the last time I looked the jeenodes did not. Time passes and things change so this is old information on the jeenodes. Check it out yourself.